ib: relay submission errors, allow adhoc mkt overrides
This is a tricky edge case we weren't handling prior; an example is submitting a limit order with a price tick precision which mismatches that supported (probably bc IB reported the wrong one..) and IB responds immediately with an error event (via a special code..) but doesn't include any `Trade` object(s) nor details beyond the `reqid`. So, we have to do a little reverse EMS order lookup on our own and ideally indicate to the requester which order failed and *why*. To enable this we, - create a `flows: OrderDialogs` instance and pass it to most order/event relay tasks, particularly ensuring we update update ASAP in `handle_order_requests()` such that any successful submit has an `Ack` recorded in the flow. - on such errors lookup the `.symbol` / `Order` from the `flow` and respond back to the EMS with as many details as possible about the prior msg history. - always explicitly relay `error` events which don't fall into the sensible filtered set and wrap in a `BrokerdError.broker_details['flow']: dict` snapshot for the EMS. - in `symbols.get_mkt_info()` support adhoc lookup for `MktPair` inputs and when defined we re-construct with those inputs; in this case we do this for a first mkt: `'vtgn.nasdaq'`..account_tests
Tyler Goodlet
parent
562d027ee6
commit
f66a1f8b23
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@ -20,6 +20,7 @@ Order and trades endpoints for use with ``piker``'s EMS.
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"""
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from __future__ import annotations
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from contextlib import ExitStack
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from collections import ChainMap
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from functools import partial
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from pprint import pformat
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import time
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@ -135,18 +136,19 @@ async def handle_order_requests(
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action: str = request_msg['action']
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account: str = request_msg['account']
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acct_number = accounts_def.get(account)
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oid: str = request_msg['oid']
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if not acct_number:
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log.error(
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f'An IB account number for name {account} is not found?\n'
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'Make sure you have all TWS and GW instances running.'
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)
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await ems_order_stream.send(
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BrokerdError(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No account found: `{account}` ?',
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)
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err_msg = BrokerdError(
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oid=oid,
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symbol=request_msg['symbol'],
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reason=f'No account found: `{account}` ?',
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)
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await ems_order_stream.send(err_msg)
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continue
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client = _accounts2clients.get(account)
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@ -155,11 +157,12 @@ async def handle_order_requests(
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f'An IB client for account name {account} is not found.\n'
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'Make sure you have all TWS and GW instances running.'
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)
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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err_msg = BrokerdError(
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oid=oid,
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symbol=request_msg['symbol'],
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reason=f'No api client loaded for account: `{account}` ?',
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))
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)
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await ems_order_stream.send(err_msg)
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continue
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if action in {'buy', 'sell'}:
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@ -185,23 +188,26 @@ async def handle_order_requests(
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account=acct_number,
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reqid=reqid,
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)
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str_reqid: str = str(reqid)
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if reqid is None:
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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err_msg = BrokerdError(
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oid=oid,
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symbol=request_msg['symbol'],
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reason='Order already active?',
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))
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)
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await ems_order_stream.send(err_msg)
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# deliver ack that order has been submitted to broker routing
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ack = BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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reqid=str_reqid,
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account=account,
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)
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await ems_order_stream.send(ack)
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flows.add_msg(reqid, ack.to_dict())
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flows.add_msg(str_reqid, order.to_dict())
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flows.add_msg(str_reqid, ack.to_dict())
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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@ -441,7 +447,7 @@ async def aggr_open_orders(
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deats = await proxy.con_deats(contracts=[con])
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fqme = list(deats)[0]
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reqid = order.orderId
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reqid: str = str(order.orderId)
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# TODO: maybe embed a ``BrokerdOrder`` instead
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# since then we can directly load it on the client
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@ -449,7 +455,7 @@ async def aggr_open_orders(
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msg = Status(
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time_ns=time.time_ns(),
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resp='open',
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oid=str(reqid),
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oid=reqid,
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reqid=reqid,
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# embedded order info
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@ -1213,6 +1219,8 @@ async def deliver_trade_events(
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# `Client.inline_errors()::push_err()`
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err: dict = item
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# never relay errors for non-broker related issues
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# https://interactivebrokers.github.io/tws-api/message_codes.html
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code: int = err['error_code']
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if code in {
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200, # uhh
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@ -1221,43 +1229,42 @@ async def deliver_trade_events(
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162,
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165,
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# WARNING codes:
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# https://interactivebrokers.github.io/tws-api/message_codes.html#warning_codes
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# Attribute 'Outside Regular Trading Hours' is
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# " 'ignored based on the order type and
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# destination. PlaceOrder is now ' 'being
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# processed.',
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2109,
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# XXX: lol this isn't even documented..
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# 'No market data during competing live session'
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1669,
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}:
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continue
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reqid: str = err['reqid']
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acnt: str = flows.get(reqid)['account']
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reqid: str = str(err['reqid'])
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reason: str = err['reason']
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if err['reqid'] == -1:
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log.error(f'TWS external order error:\n{pformat(err)}')
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flow: ChainMap = flows.get(reqid)
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# TODO: we don't want to relay data feed / lookup errors
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# so we need some further filtering logic here..
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# for most cases the 'status' block above should take
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# care of this.
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await ems_stream.send(
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BrokerdStatus(
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status='error',
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reqid=reqid,
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reason=reason,
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time_ns=time.time_ns(),
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account=acnt,
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broker_details={'name': 'ib'},
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)
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)
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canceled = BrokerdStatus(
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err_msg = BrokerdError(
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reqid=reqid,
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time_ns=time.time_ns(), # cuz why not
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status='canceled',
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reason=reason,
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account=acnt,
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broker_details={'name': 'ib'},
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broker_details={
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'name': 'ib',
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'flow': dict(flow),
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},
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)
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await ems_stream.send(canceled)
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flows.add_msg(reqid, canceled.to_dict())
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flows.add_msg(reqid, err_msg.to_dict())
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await ems_stream.send(err_msg)
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case 'event':
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@ -132,6 +132,12 @@ _adhoc_fiat_set = set((
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).split(' ,')
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)
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# manually discovered tick discrepancies,
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# onl god knows how or why they'd cuck these up..
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_adhoc_mkt_infos: dict[int | str, dict] = {
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'vtgn.nasdaq': {'price_tick': Decimal('0.01')},
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}
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# map of symbols to contract ids
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_adhoc_symbol_map = {
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@ -511,6 +517,7 @@ async def get_mkt_info(
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venue = con.primaryExchange or con.exchange
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price_tick: Decimal = Decimal(str(details.minTick))
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# price_tick: Decimal = Decimal('0.01')
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if atype == 'stock':
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# XXX: GRRRR they don't support fractional share sizes for
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@ -541,14 +548,15 @@ async def get_mkt_info(
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atype='fiat',
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tx_tick=Decimal('0.01'), # right?
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)
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dst = Asset(
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name=con.symbol.lower(),
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atype=atype,
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tx_tick=size_tick,
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)
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mkt = MktPair(
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dst=Asset(
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name=con.symbol.lower(),
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atype=atype,
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tx_tick=size_tick,
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),
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src=src,
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dst=dst,
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price_tick=price_tick,
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size_tick=size_tick,
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@ -563,6 +571,15 @@ async def get_mkt_info(
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_fqme_without_src=(atype != 'fiat'),
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)
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# just.. wow.
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if entry := _adhoc_mkt_infos.get(mkt.bs_fqme):
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log.warning(f'Frickin {mkt.fqme} has an adhoc {entry}..')
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new = mkt.to_dict()
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new['price_tick'] = entry['price_tick']
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new['src'] = src
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new['dst'] = dst
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mkt = MktPair(**new)
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# if possible register the bs_mktid to the just-built
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# mkt so that it can be retreived by order mode tasks later.
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# TODO NOTE: this is going to be problematic if/when we split
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